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Essent Group Ltd. Announces Second Quarter 2024 Results and Declares Quarterly Dividend

Essent Group Ltd. (NYSE: ESNT) today reported net income for the quarter ended June 30, 2024 of $203.6 million or $1.91 per diluted share, compared to $172.2 million or $1.61 per diluted share for the quarter ended June 30, 2023.

Essent also announced today that its Board of Directors has declared a quarterly cash dividend of $0.28 per common share. The dividend is payable on September 10, 2024, to shareholders of record on August 30, 2024.

“We are pleased with our financial results in the second quarter, as our high-quality portfolio and resilience in the housing and labor markets translated to favorable credit performance, and the current rate environment continues to benefit investment income and persistency,” said Mark A. Casale, Chairman and Chief Executive Officer. “The Essent franchise achieved another milestone by closing on our inaugural senior debt offering on July 1. Combined with an amended and extended revolving credit facility, we now have over $1.3 billion in available holding company liquidity.”

Financial Highlights:

  • New insurance written for the second quarter of 2024 was $12.5 billion, compared to $8.3 billion in the first quarter of 2024 and $13.5 billion in the second quarter of 2023.
  • Insurance in force as of June 30, 2024 was $240.7 billion, compared to $238.5 billion as of March 31, 2024 and $235.6 billion as of June 30, 2023.
  • Net investment income for the first half of 2024 was $108.2 million, up 22% from the first half of 2023.
  • Effective July 1, 2024, we entered into an excess of loss transaction with a panel of highly rated third-party reinsurers covering 15% of all eligible policies written by Essent Guaranty, Inc. in calendar year 2024.
  • On July 1, 2024, Essent closed two transactions that represent approximately $1 billion in total debt capacity, comprised of $500 million of senior unsecured notes and a $500 million unsecured revolving credit facility.

Conference Call:

Essent management will hold a conference call at 10:00 AM Eastern time today to discuss its results. The conference call will be broadcast live over the Internet at http://ir.essentgroup.com/events-and-presentations/events/default.aspx. The call may also be accessed by dialing 888-330-2384 inside the U.S., or 240-789-2701 for international callers, using passcode 9824537 or by referencing Essent.

A replay of the webcast will be available on the Essent website approximately two hours after the live broadcast ends for a period of one year. A replay of the conference call will be available approximately two hours after the call ends for a period of two weeks, using the following dial-in numbers and passcode: 800-770-2030 inside the U.S., or 647-362-9199 for international callers, passcode 9824537.

In addition to the information provided in the Company's earnings news release, other statistical and financial information, which may be referred to during the conference call, will be available on Essent's website at http://ir.essentgroup.com/financials/quarterly-results/default.aspx.

Forward-Looking Statements:

This press release may include “forward-looking statements” which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. Forward-looking statements generally can be identified by the use of forward-looking terminology such as "may," "will," “should,” “expect,” "plan," "anticipate," "believe," “estimate,” “predict,” or "potential" or the negative thereof or variations thereon or similar terminology. Actual events, results and outcomes may differ materially from our expectations due to a variety of known and unknown risks, uncertainties and other factors. Although it is not possible to identify all of these risks and factors, they include, among others, the following: changes in or to Fannie Mae and Freddie Mac (the “GSEs”), whether through Federal legislation, restructurings or a shift in business practices; failure to continue to meet the mortgage insurer eligibility requirements of the GSEs; competition for customers or the loss of a significant customer; lenders or investors seeking alternatives to private mortgage insurance; an increase in the number of loans insured through Federal government mortgage insurance programs; decline in the volume of low down payment mortgage originations; uncertainty of loss reserve estimates; decrease in the length of time our insurance policies are in force; deteriorating economic conditions; and other risks and factors described in Part I, Item 1A “Risk Factors” of our Annual Report on Form 10-K for the year ended December 31, 2023 filed with the Securities and Exchange Commission on February 16, 2024, as subsequently updated through other reports we file with the Securities and Exchange Commission. Any forward-looking information presented herein is made only as of the date of this press release, and we do not undertake any obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unanticipated events, or otherwise.

About the Company:

Essent Group Ltd. (NYSE: ESNT) is a Bermuda-based holding company (collectively with its subsidiaries, “Essent”) offering private mortgage insurance, reinsurance, and title insurance and settlement services to serve the housing finance industry. Additional information regarding Essent may be found at www.essentgroup.com.

Source: Essent Group Ltd.

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Financial Results and Supplemental Information (Unaudited)

Quarter Ended June 30, 2024

 

 

 

 

 

 

Exhibit A

 

Condensed Consolidated Statements of Comprehensive Income (Unaudited)

Exhibit B

 

Condensed Consolidated Balance Sheets (Unaudited)

Exhibit C

 

Consolidated Historical Quarterly Data

Exhibit D

 

U.S. Mortgage Insurance Portfolio Historical Quarterly Data

Exhibit E

 

New Insurance Written - U.S. Mortgage Insurance Portfolio

Exhibit F

 

Insurance in Force and Risk in Force - U.S. Mortgage Insurance Portfolio

Exhibit G

 

Other Risk in Force

Exhibit H

 

U.S. Mortgage Insurance Portfolio Vintage Data

Exhibit I

 

U.S. Mortgage Insurance Portfolio Reinsurance Vintage Data

Exhibit J

 

U.S. Mortgage Insurance Portfolio Geographic Data

Exhibit K

 

Rollforward of Defaults and Reserve for Losses and LAE - U.S. Mortgage Insurance Portfolio

Exhibit L

 

Detail of Reserves by Default Delinquency - U.S. Mortgage Insurance Portfolio

Exhibit M

 

Investments Available for Sale

Exhibit N

 

U.S. Mortgage Insurance Company Capital

Exhibit O

 

Ratios and Reconciliation of Non-GAAP Financial Measures

 

 

 

 

 

 

 

Exhibit A

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Statements of Comprehensive Income (Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended June 30,

 

Six Months Ended June 30,

(In thousands, except per share amounts)

2024

 

2023

 

2024

 

2023

Revenues:

 

 

 

 

 

 

 

Direct premiums written

$

272,910

 

 

$

249,167

 

 

$

541,841

 

 

$

488,658

 

Ceded premiums

 

(27,344

)

 

 

(39,546

)

 

 

(57,735

)

 

 

(73,137

)

Net premiums written

 

245,566

 

 

 

209,621

 

 

 

484,106

 

 

 

415,521

 

Decrease in unearned premiums

 

6,325

 

 

 

3,608

 

 

 

13,375

 

 

 

8,966

 

Net premiums earned

 

251,891

 

 

 

213,229

 

 

 

497,481

 

 

 

424,487

 

Net investment income

 

56,086

 

 

 

45,250

 

 

 

108,171

 

 

 

88,486

 

Realized investment gains (losses), net

 

(1,164

)

 

 

(1,589

)

 

 

(2,304

)

 

 

(2,077

)

Income (loss) from other invested assets

 

(419

)

 

 

(4,852

)

 

 

(2,334

)

 

 

(7,554

)

Other income

 

6,548

 

 

 

8,090

 

 

 

10,285

 

 

 

13,032

 

Total revenues

 

312,942

 

 

 

260,128

 

 

 

611,299

 

 

 

516,374

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

Provision (benefit) for losses and LAE

 

(334

)

 

 

1,260

 

 

 

9,579

 

 

 

1,080

 

Other underwriting and operating expenses

 

55,987

 

 

 

42,174

 

 

 

113,336

 

 

 

90,369

 

Premiums retained by agents

 

10,215

 

 

 

 

 

 

19,706

 

 

 

 

Interest expense

 

7,849

 

 

 

7,394

 

 

 

15,711

 

 

 

14,330

 

Total losses and expenses

 

73,717

 

 

 

50,828

 

 

 

158,332

 

 

 

105,779

 

 

 

 

 

 

 

 

 

Income before income taxes

 

239,225

 

 

 

209,300

 

 

 

452,967

 

 

 

410,595

 

Income tax expense

 

35,616

 

 

 

37,067

 

 

 

67,639

 

 

 

67,535

 

Net income

$

203,609

 

 

$

172,233

 

 

$

385,328

 

 

$

343,060

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

Basic

$

1.93

 

 

$

1.62

 

 

$

3.65

 

 

$

3.22

 

Diluted

 

1.91

 

 

 

1.61

 

 

 

3.61

 

 

 

3.20

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

Basic

 

105,657

 

 

 

106,249

 

 

 

105,677

 

 

 

106,594

 

Diluted

 

106,778

 

 

 

107,093

 

 

 

106,774

 

 

 

107,338

 

 

 

 

 

 

 

 

 

Net income

$

203,609

 

 

$

172,233

 

 

$

385,328

 

 

$

343,060

 

 

 

 

 

 

 

 

 

Other comprehensive income (loss):

 

 

 

 

 

 

 

Change in unrealized appreciation (depreciation) of investments

 

(5,375

)

 

 

(36,098

)

 

 

(27,141

)

 

 

22,655

 

Total other comprehensive income (loss)

 

(5,375

)

 

 

(36,098

)

 

 

(27,141

)

 

 

22,655

 

Comprehensive income

$

198,234

 

 

$

136,135

 

 

$

358,187

 

 

$

365,715

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit B

 

 

 

 

Essent Group Ltd. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

 

 

 

 

 

 

June 30,

 

December 31,

(In thousands, except per share amounts)

2024

 

2023

Assets

 

 

 

Investments

 

 

 

Fixed maturities available for sale, at fair value

$

3,931,471

 

 

$

4,335,008

 

Short-term investments available for sale, at fair value

 

1,523,512

 

 

 

928,731

 

Total investments available for sale

 

5,454,983

 

 

 

5,263,739

 

Other invested assets

 

282,781

 

 

 

277,226

 

Total investments

 

5,737,764

 

 

 

5,540,965

 

Cash

 

197,402

 

 

 

141,787

 

Accrued investment income

 

35,534

 

 

 

35,689

 

Accounts receivable

 

56,974

 

 

 

63,266

 

Deferred policy acquisition costs

 

9,199

 

 

 

9,139

 

Property and equipment

 

42,905

 

 

 

41,304

 

Prepaid federal income tax

 

487,456

 

 

 

470,646

 

Goodwill and intangible assets, net

 

70,258

 

 

 

72,826

 

Other assets

 

55,253

 

 

 

51,051

 

Total assets

$

6,692,745

 

 

$

6,426,673

 

 

 

 

 

Liabilities and Stockholders' Equity

 

 

 

Liabilities

 

 

 

Reserve for losses and LAE

$

260,688

 

 

$

260,095

 

Unearned premium reserve

 

126,938

 

 

 

140,285

 

Net deferred tax liability

 

381,393

 

 

 

362,753

 

Credit facility borrowings, net of deferred costs

 

422,448

 

 

 

421,920

 

Other accrued liabilities

 

121,488

 

 

 

139,070

 

Total liabilities

 

1,312,955

 

 

 

1,324,123

 

 

 

 

 

Commitments and contingencies

 

 

 

 

 

 

 

Stockholders' Equity

 

 

 

Common shares, $0.015 par value:

 

 

 

Authorized - 233,333; issued and outstanding - 106,372 shares in 2024 and 106,597 shares in 2023

 

1,596

 

 

 

1,599

 

Additional paid-in capital

 

1,278,918

 

 

 

1,299,869

 

Accumulated other comprehensive loss

 

(307,637

)

 

 

(280,496

)

Retained earnings

 

4,406,913

 

 

 

4,081,578

 

Total stockholders' equity

 

5,379,790

 

 

 

5,102,550

 

 

 

 

 

Total liabilities and stockholders' equity

$

6,692,745

 

 

$

6,426,673

 

 

 

 

 

Return on average equity (1)

 

14.7

%

 

 

14.6

%

 

 

 

 

(1) The 2024 return on average equity is calculated by dividing annualized year-to-date 2024 net income by average equity. The 2023 return on average equity is calculated by dividing full year 2023 net income by average equity.

 

 

 

 

 

 

 

 

 

 

Exhibit C

Essent Group Ltd. and Subsidiaries

Supplemental Information

Consolidated Historical Quarterly Data

 

 

 

 

 

 

 

 

 

 

 

 

 

2024

 

2023

Selected Income Statement Data

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

(In thousands, except per share amounts)

 

 

 

 

 

 

 

 

 

 

Revenues:

 

 

 

 

 

 

 

 

 

 

Net premiums earned:

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio

 

$

217,513

 

 

$

212,479

 

 

$

211,083

 

 

$

209,351

 

 

$

195,502

 

GSE and other risk share

 

 

17,745

 

 

 

17,826

 

 

 

17,166

 

 

 

16,850

 

 

 

17,727

 

Title insurance

 

 

16,633

 

 

 

15,285

 

 

 

17,365

 

 

 

20,604

 

 

 

 

Net premiums earned

 

 

251,891

 

 

 

245,590

 

 

 

245,614

 

 

 

246,805

 

 

 

213,229

 

Net investment income

 

 

56,086

 

 

 

52,085

 

 

 

50,581

 

 

 

47,072

 

 

 

45,250

 

Realized investment (losses) gains, net

 

 

(1,164

)

 

 

(1,140

)

 

 

(4,892

)

 

 

(235

)

 

 

(1,589

)

(Loss) income from other invested assets

 

 

(419

)

 

 

(1,915

)

 

 

(421

)

 

 

(3,143

)

 

 

(4,852

)

Other income (loss) (1)

 

 

6,548

 

 

 

3,737

 

 

 

6,395

 

 

 

5,609

 

 

 

8,090

 

Total revenues

 

 

312,942

 

 

 

298,357

 

 

 

297,277

 

 

 

296,108

 

 

 

260,128

 

 

 

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

 

 

 

Provision (benefit) for losses and LAE

 

 

(334

)

 

 

9,913

 

 

 

19,640

 

 

 

10,822

 

 

 

1,260

 

Other underwriting and operating expenses

 

 

55,987

 

 

 

57,349

 

 

 

55,248

 

 

 

54,814

 

 

 

42,174

 

Premiums retained by agents

 

 

10,215

 

 

 

9,491

 

 

 

11,475

 

 

 

13,175

 

 

 

 

Interest expense

 

 

7,849

 

 

 

7,862

 

 

 

7,953

 

 

 

7,854

 

 

 

7,394

 

Total losses and expenses

 

 

73,717

 

 

 

84,615

 

 

 

94,316

 

 

 

86,665

 

 

 

50,828

 

 

 

 

 

 

 

 

 

 

 

 

Income before income taxes

 

 

239,225

 

 

 

213,742

 

 

 

202,961

 

 

 

209,443

 

 

 

209,300

 

Income tax expense (2)

 

 

35,616

 

 

 

32,023

 

 

 

27,594

 

 

 

31,484

 

 

 

37,067

 

Net income

 

$

203,609

 

 

$

181,719

 

 

$

175,367

 

 

$

177,959

 

 

$

172,233

 

 

 

 

 

 

 

 

 

 

 

 

Earnings per share:

 

 

 

 

 

 

 

 

 

 

Basic

 

$

1.93

 

 

$

1.72

 

 

$

1.66

 

 

$

1.68

 

 

$

1.62

 

Diluted

 

 

1.91

 

 

 

1.70

 

 

 

1.64

 

 

 

1.66

 

 

 

1.61

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average shares outstanding:

 

 

 

 

 

 

 

 

 

 

Basic

 

 

105,657

 

 

 

105,697

 

 

 

105,733

 

 

 

105,979

 

 

 

106,249

 

Diluted

 

 

106,778

 

 

 

106,770

 

 

 

106,823

 

 

 

107,025

 

 

 

107,093

 

 

 

 

 

 

 

 

 

 

 

 

Book value per share

 

$

50.58

 

 

$

48.96

 

 

$

47.87

 

 

$

44.98

 

 

$

44.24

 

Return on average equity (annualized)

 

 

15.4

%

 

 

14.1

%

 

 

14.2

%

 

 

14.9

%

 

 

14.7

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Facility

 

 

 

 

 

 

 

 

 

 

Borrowings outstanding

 

$

425,000

 

 

$

425,000

 

 

$

425,000

 

 

$

425,000

 

 

$

425,000

 

Undrawn committed capacity

 

$

400,000

 

 

$

400,000

 

 

$

400,000

 

 

$

400,000

 

 

$

400,000

 

Weighted average interest rate (end of period)

 

 

7.07

%

 

 

7.06

%

 

 

7.11

%

 

 

7.07

%

 

 

6.87

%

Debt-to-capital

 

 

7.32

%

 

 

7.52

%

 

 

7.69

%

 

 

8.12

%

 

 

8.24

%

 

 

 

 

 

 

 

 

 

 

 

(1) Other income includes net favorable (unfavorable) changes in the fair value of embedded derivatives associated with certain of our third-party reinsurance agreements, which for the quarters ended June 30, 2024, March 31, 2024, December 31, 2023, September 30, 2023, and June 30, 2023, were $732, ($1,902), $412, ($898), and $2,726, respectively.

(2) Income tax expense for the quarters ended June 30,2024, March 31, 2024, December 31, 2023, September 30, 2023, and June 30, 2023 includes $556, ($1,041), ($1,132), ($763), and ($888), respectively, of discrete tax expense (benefit) associated with realized and unrealized gains and losses. Income tax expense for the quarter ended March 31, 2024 also includes ($616) of excess tax benefits associated with the vesting of common shares and common share units. Income tax expense for the quarter ended December 31, 2023 also includes a $2,731 net benefit associated with the recognition of a deferred tax asset for unrealized losses on the investment portfolios of Essent Group and Essent Re upon the enactment of the Bermuda Corporate Income Tax. Income tax expense for the quarter ended June 30, 2023 also includes $5,295 of net discrete tax expense associated with prior year tax returns.

 

 

 

 

Exhibit D

Essent Group Ltd. and Subsidiaries

Supplemental Information

U.S. Mortgage Insurance Portfolio Historical Quarterly Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2024

 

2023

Other Data:

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

New insurance written

 

$

12,503,125

 

 

$

8,323,544

 

 

$

8,769,160

 

 

$

12,505,823

 

 

$

13,498,080

 

New risk written

 

 

3,449,623

 

 

 

2,289,508

 

 

 

2,409,340

 

 

 

3,458,467

 

 

 

3,726,513

 

 

 

 

 

 

 

 

 

 

 

 

Average insurance in force

 

$

239,538,571

 

 

$

238,595,268

 

 

$

239,005,961

 

 

$

237,270,093

 

 

$

233,484,941

 

Insurance in force (end of period)

 

$

240,669,165

 

 

$

238,477,402

 

 

$

239,078,262

 

 

$

238,661,612

 

 

$

235,649,884

 

Gross risk in force (end of period) (1)

 

$

65,269,064

 

 

$

64,247,810

 

 

$

64,061,374

 

 

$

63,605,057

 

 

$

62,403,400

 

Risk in force (end of period)

 

$

55,521,538

 

 

$

54,686,533

 

 

$

54,591,590

 

 

$

53,920,308

 

 

$

53,290,643

 

Policies in force

 

 

814,237

 

 

 

815,752

 

 

 

822,012

 

 

 

825,248

 

 

 

821,690

 

Weighted average coverage (2)

 

 

27.1

%

 

 

26.9

%

 

 

26.8

%

 

 

26.7

%

 

 

26.5

%

Annual persistency

 

 

86.7

%

 

 

86.9

%

 

 

86.9

%

 

 

86.6

%

 

 

85.8

%

 

 

 

 

 

 

 

 

 

 

 

Loans in default (count)

 

 

13,954

 

 

 

13,992

 

 

 

14,819

 

 

 

13,391

 

 

 

12,480

 

Percentage of loans in default

 

 

1.71

%

 

 

1.72

%

 

 

1.80

%

 

 

1.62

%

 

 

1.52

%

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Portfolio premium rate:

 

 

 

 

 

 

 

 

Base average premium rate (3)

 

 

0.41

%

 

 

0.41

%

 

 

0.40

%

 

 

0.40

%

 

 

0.40

%

Single premium cancellations (4)

 

 

%

 

 

%

 

 

%

 

 

%

 

 

%

Gross average premium rate

 

 

0.41

%

 

 

0.41

%

 

 

0.40

%

 

 

0.40

%

 

 

0.40

%

Ceded premiums

 

 

(0.05

%)

 

 

(0.05

%)

 

 

(0.05

%)

 

 

(0.05

%)

 

 

(0.07

%)

Net average premium rate

 

 

0.36

%

 

 

0.36

%

 

 

0.35

%

 

 

0.35

%

 

 

0.33

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1) Gross risk in force includes risk ceded under third-party reinsurance.

(2) Weighted average coverage is calculated by dividing end of period gross risk in force by end of period insurance in force.

(3) Base average premium rate is calculated by dividing annualized base premiums earned by average insurance in force for the period.

(4) Single premium cancellations is calculated by dividing annualized premiums on the cancellation of non-refundable single premium policies by average insurance in force for the period.

 

 

 

 

 

 

 

 

 

Exhibit E

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information - U.S. Mortgage Insurance Portfolio

New Insurance Written: Flow

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Credit Score

 

Three Months Ended

 

Six Months Ended

 

June 30, 2024

 

June 30, 2023

 

June 30, 2024

 

June 30, 2023

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

>=760

$

5,451,182

 

43.6

%

 

$

5,413,790

 

40.1

%

 

$

9,047,782

 

43.4

%

 

$

10,260,848

 

38.9

%

740-759

 

2,165,026

 

17.3

 

 

 

2,428,773

 

18.0

 

 

 

3,575,472

 

17.2

 

 

 

4,826,755

 

18.3

 

720-739

 

1,819,751

 

14.6

 

 

 

2,194,400

 

16.3

 

 

 

3,064,399

 

14.7

 

 

 

4,399,244

 

16.7

 

700-719

 

1,585,167

 

12.7

 

 

 

2,022,302

 

15.0

 

 

 

2,725,597

 

13.1

 

 

 

4,025,194

 

15.2

 

680-699

 

870,054

 

7.0

 

 

 

1,032,061

 

7.6

 

 

 

1,433,473

 

6.9

 

 

 

2,132,876

 

8.1

 

<=679

 

611,945

 

4.8

 

 

 

406,754

 

3.0

 

 

 

979,946

 

4.7

 

 

 

746,952

 

2.8

 

Total

$

12,503,125

 

100.0

%

 

$

13,498,080

 

100.0

%

 

$

20,826,669

 

100.0

%

 

$

26,391,869

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

748

 

 

 

 

746

 

 

 

 

748

 

 

 

 

746

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by LTV

 

Three Months Ended

 

Six Months Ended

 

June 30, 2024

 

June 30, 2023

 

June 30, 2024

 

June 30, 2023

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

85.00% and below

$

854,349

 

6.8

%

 

$

988,752

 

7.3

%

 

$

1,414,248

 

6.8

%

 

$

1,951,761

 

7.4

%

85.01% to 90.00%

 

2,423,665

 

19.4

 

 

 

2,819,310

 

20.9

 

 

 

4,155,796

 

20.0

 

 

 

5,505,138

 

20.9

 

90.01% to 95.00%

 

6,874,853

 

55.0

 

 

 

7,339,533

 

54.4

 

 

 

11,392,508

 

54.7

 

 

 

14,769,646

 

55.9

 

95.01% and above

 

2,350,258

 

18.8

 

 

 

2,350,485

 

17.4

 

 

 

3,864,117

 

18.5

 

 

 

4,165,324

 

15.8

 

Total

$

12,503,125

 

100.0

%

 

$

13,498,080

 

100.0

%

 

$

20,826,669

 

100.0

%

 

$

26,391,869

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

93

%

 

 

 

93

%

 

 

 

93

%

 

 

 

93

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Product

 

Three Months Ended

 

Six Months Ended

 

June 30, 2024

 

June 30, 2023

 

June 30, 2024

 

June 30, 2023

Single Premium policies

 

1.3

%

 

 

4.3

%

 

 

1.6

%

 

 

4.1

%

Monthly Premium policies

 

98.7

 

 

 

95.7

 

 

 

98.4

 

 

 

95.9

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NIW by Purchase vs. Refinance

 

Three Months Ended

 

Six Months Ended

 

June 30, 2024

 

June 30, 2023

 

June 30, 2024

 

June 30, 2023

Purchase

 

97.8

%

 

 

98.8

%

 

 

97.6

%

 

 

98.7

%

Refinance

 

2.2

 

 

 

1.2

 

 

 

2.4

 

 

 

1.3

 

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

100.0

%

 

 

 

 

 

 

 

 

 

Exhibit F

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Insurance in Force and Risk in Force - U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Portfolio by Credit Score

IIF by FICO score

June 30, 2024

 

March 31, 2024

 

June 30, 2023

($ in thousands)

 

 

 

 

 

 

 

 

>=760

 

$

97,668,435

 

40.6

%

 

$

96,712,431

 

40.6

%

 

$

95,925,520

 

40.8

%

740-759

 

 

41,915,598

 

17.4

 

 

 

41,477,680

 

17.4

 

 

 

40,733,799

 

17.3

 

720-739

 

 

37,678,804

 

15.7

 

 

 

37,342,339

 

15.7

 

 

 

36,791,104

 

15.6

 

700-719

 

 

32,331,564

 

13.4

 

 

 

32,023,895

 

13.4

 

 

 

30,970,132

 

13.1

 

680-699

 

 

19,751,956

 

8.2

 

 

 

19,664,999

 

8.2

 

 

 

19,667,866

 

8.3

 

<=679

 

 

11,322,808

 

4.7

 

 

 

11,256,058

 

4.7

 

 

 

11,561,463

 

4.9

 

Total

$

240,669,165

 

100.0

%

 

$

238,477,402

 

100.0

%

 

$

235,649,884

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

746

 

 

 

 

746

 

 

 

 

746

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by FICO score

June 30, 2024

 

March 31, 2024

 

June 30, 2023

($ in thousands)

 

 

 

 

 

 

 

 

>=760

 

$

26,238,140

 

40.2

%

 

$

25,806,552

 

40.2

%

 

$

25,138,762

 

40.3

%

740-759

 

 

11,525,987

 

17.7

 

 

 

11,326,253

 

17.6

 

 

 

10,922,780

 

17.5

 

720-739

 

 

10,362,021

 

15.9

 

 

 

10,206,055

 

15.9

 

 

 

9,896,425

 

15.9

 

700-719

 

 

8,899,342

 

13.6

 

 

 

8,757,648

 

13.6

 

 

 

8,319,353

 

13.3

 

680-699

 

 

5,382,312

 

8.2

 

 

 

5,321,802

 

8.3

 

 

 

5,248,349

 

8.4

 

<=679

 

 

2,861,262

 

4.4

 

 

 

2,829,500

 

4.4

 

 

 

2,877,731

 

4.6

 

Total

$

65,269,064

 

100.0

%

 

$

64,247,810

 

100.0

%

 

$

62,403,400

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by LTV

IIF by LTV

June 30, 2024

 

March 31, 2024

 

June 30, 2023

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

 

$

16,927,111

 

7.0

%

 

$

18,397,395

 

7.7

%

 

$

22,427,649

 

9.5

%

85.01% to 90.00%

 

 

61,774,991

 

25.7

 

 

 

62,218,749

 

26.1

 

 

 

63,562,258

 

27.0

 

90.01% to 95.00%

 

 

123,414,332

 

51.3

 

 

 

120,666,455

 

50.6

 

 

 

115,768,826

 

49.1

 

95.01% and above

 

 

38,552,731

 

16.0

 

 

 

37,194,803

 

15.6

 

 

 

33,891,151

 

14.4

 

Total

$

240,669,165

 

100.0

%

 

$

238,477,402

 

100.0

%

 

$

235,649,884

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Weighted average LTV

 

93

%

 

 

 

93

%

 

 

 

93

%

 

 

 

 

 

 

 

 

Gross RIF by LTV

June 30, 2024

 

March 31, 2024

 

June 30, 2023

($ in thousands)

 

 

 

 

 

 

 

 

85.00% and below

 

$

2,010,864

 

3.1

%

 

$

2,188,074

 

3.4

%

 

$

2,667,981

 

4.3

%

85.01% to 90.00%

 

 

15,238,201

 

23.3

 

 

 

15,329,091

 

23.9

 

 

 

15,583,198

 

25.0

 

90.01% to 95.00%

 

 

36,405,573

 

55.8

 

 

 

35,556,840

 

55.3

 

 

 

34,026,320

 

54.5

 

95.01% and above

 

 

11,614,426

 

17.8

 

 

 

11,173,805

 

17.4

 

 

 

10,125,901

 

16.2

 

Total

$

65,269,064

 

100.0

%

 

$

64,247,810

 

100.0

%

 

$

62,403,400

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Portfolio by Loan Amortization Period

IIF by Loan Amortization Period

June 30, 2024

 

March 31, 2024

 

June 30, 2023

($ in thousands)

 

 

 

 

 

 

 

 

FRM 30 years and higher

 

$

235,138,420

 

97.7

%

 

$

232,753,590

 

97.6

%

 

$

228,745,641

 

97.1

%

FRM 20-25 years

 

 

1,322,021

 

0.5

 

 

 

1,473,431

 

0.6

 

 

 

2,124,690

 

0.9

 

FRM 15 years

 

 

1,276,780

 

0.5

 

 

 

1,359,795

 

0.6

 

 

 

1,953,448

 

0.8

 

ARM 5 years and higher

 

 

2,931,944

 

1.3

 

 

 

2,890,586

 

1.2

 

 

 

2,826,105

 

1.2

 

Total

$

240,669,165

 

100.0

%

 

$

238,477,402

 

100.0

%

 

$

235,649,884

 

100.0

%

 

 

 

 

 

 

 

 

 

 

Exhibit G

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Other Risk in Force

 

 

 

 

 

 

 

 

 

 

 

 

 

2024

 

2023

($ in thousands)

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

GSE and other risk share (1):

 

 

 

 

 

 

 

 

 

 

Risk in Force

 

$

2,304,885

 

 

$

2,307,267

 

 

$

2,244,944

 

 

$

2,247,393

 

 

$

2,276,702

 

Reserve for losses and LAE

 

$

33

 

 

$

32

 

 

$

29

 

 

$

54

 

 

$

55

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average credit score

 

 

750

 

 

 

750

 

 

 

749

 

 

 

749

 

 

 

749

 

Weighted average LTV

 

 

82

%

 

 

82

%

 

 

82

%

 

 

82

%

 

 

83

%

 

 

 

 

 

 

 

 

 

 

 

(1) GSE and other risk share includes GSE risk share and other reinsurance transactions. Essent Reinsurance Ltd. ("Essent Re") provides insurance or reinsurance relating to the risk in force on loans in reference pools acquired by Freddie Mac and Fannie Mae.

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit H

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

U.S. Mortgage Insurance Portfolio Vintage Data

June 30, 2024

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Insurance in Force

 

 

 

Year

Original

Insurance

Written

($ in thousands)

Remaining

Insurance

in Force

($ in thousands)

% Remaining of Original

Insurance

Number of Policies in Force

Weighted Average Coupon

% Purchase

>90% LTV

>95% LTV

FICO < 700

FICO >= 760

Incurred Loss Ratio (Inception to Date) (1)

Number of Loans in Default

Percentage of Loans in Default

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2010 - 2014

$

60,668,851

$

1,047,692

1.7

%

5,772

4.28

%

66.1

%

49.8

%

1.2

%

10.3

%

49.0

%

2.4

%

252

4.37

%

2015

 

26,193,656

 

1,038,672

4.0

 

6,156

4.27

 

79.8

 

66.5

 

5.5

 

18.1

 

39.1

 

2.3

 

245

3.98

 

2016

 

34,949,319

 

2,570,524

7.4

 

15,203

3.92

 

86.8

 

79.2

 

13.3

 

16.3

 

41.6

 

2.0

 

427

2.81

 

2017

 

43,858,322

 

4,139,552

9.4

 

25,251

4.29

 

91.1

 

77.1

 

22.5

 

21.2

 

36.6

 

3.1

 

990

3.92

 

2018

 

47,508,525

 

5,073,930

10.7

 

28,900

4.80

 

95.1

 

73.3

 

26.7

 

21.8

 

32.4

 

4.1

 

1,257

4.35

 

2019

 

63,569,183

 

11,216,155

17.6

 

54,299

4.23

 

88.9

 

71.1

 

25.6

 

18.9

 

35.2

 

3.8

 

1,635

3.01

 

2020

 

107,944,065

 

40,789,474

37.8

 

159,965

3.20

 

71.0

 

60.5

 

14.0

 

10.9

 

45.5

 

2.6

 

2,153

1.35

 

2021

 

84,218,250

 

55,842,833

66.3

 

185,000

3.09

 

88.2

 

65.1

 

16.3

 

13.8

 

40.4

 

6.0

 

3,042

1.64

 

2022

 

63,061,262

 

54,555,338

86.5

 

156,491

5.08

 

98.0

 

65.8

 

11.4

 

12.6

 

39.6

 

16.8

 

2,598

1.66

 

2023

 

47,666,852

 

43,986,658

92.3

 

123,145

6.65

 

98.8

 

72.7

 

18.5

 

11.0

 

38.9

 

15.7

 

1,297

1.05

 

2024 (through June 30)

 

20,826,669

 

20,408,337

98.0

 

54,055

6.88

 

97.6

 

73.4

 

18.8

 

11.7

 

42.9

 

5.8

 

58

0.11

 

Total

$

600,464,954

$

240,669,165

40.1

 

814,237

4.66

 

90.3

 

67.3

 

16.0

 

12.9

 

40.6

 

4.3

 

13,954

1.71

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1) Incurred loss ratio is calculated by dividing the sum of case reserves and cumulative amount paid for claims by cumulative net premiums earned.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit I

Essent Group Ltd. and Subsidiaries

Supplemental Information

U.S. Mortgage Insurance Portfolio Reinsurance Vintage Data

June 30, 2024

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Insurance Linked Notes (1)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earned Premiums Ceded

 

 

Deal Name

Vintage

 

Remaining

Insurance

in Force

Remaining

Risk

in Force

 

Original

Reinsurance in Force

 

Remaining

Reinsurance in Force

 

Losses

Ceded

to Date

 

Original

First Layer

Retention

Remaining

First Layer

Retention

 

Quarter-to-Date

Year-to-Date

 

Reduction in PMIERs Minimum Required

Assets (3)

Radnor Re 2021-1

Aug. 2020 - Mar. 2021

 

$

27,796,132

$

7,390,779

 

$

557,911

 

$

250,732

 

$

 

$

278,956

$

278,227

 

$

2,148

$

4,473

 

$

174,722

Radnor Re 2021-2

Apr. 2021 - Sep. 2021

 

 

32,876,424

 

9,007,485

 

 

439,407

 

 

301,015

 

 

 

 

279,415

 

277,770

 

 

3,563

 

7,237

 

 

239,363

Radnor Re 2022-1

Oct. 2021 - Jul. 2022

 

 

29,790,115

 

8,096,398

 

 

237,868

 

 

209,409

 

 

 

 

303,761

 

302,032

 

 

3,736

 

7,653

 

 

192,656

Radnor Re 2023-1

Aug. 2022 - Jun. 2023

 

 

29,594,148

 

8,102,672

 

 

281,462

 

 

281,462

 

 

 

 

281,463

 

281,434

 

 

3,473

 

6,952

 

 

266,826

Total

 

 

$

120,056,819

$

32,597,334

 

$

1,516,648

 

$

1,042,618

 

$

 

$

1,143,595

$

1,139,463

 

$

12,920

$

26,315

(5)

$

873,567

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Excess of Loss Reinsurance (2)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earned Premiums Ceded

 

 

Deal Name

Vintage

Remaining

Insurance

in Force

Remaining

Risk

in Force

 

Original

Reinsurance in Force

 

Remaining

Reinsurance in Force

 

Losses

Ceded

to Date

 

Original

First Layer

Retention

Remaining

First Layer

Retention

 

Quarter-to-Date

Year-to-Date

 

Reduction in PMIERs Minimum Required

Assets (3)

XOL 2019-1

Jan. 2018 - Dec. 2018

$

5,024,587

$

1,321,732

 

$

118,650

 

$

76,144

 

$

 

$

253,643

$

244,991

 

$

607

$

1,227

 

$

XOL 2020-1

Jan. 2019 - Aug. 2019

 

6,290,687

 

1,658,671

 

 

55,102

 

 

32,770

 

 

 

 

215,605

 

212,557

 

 

267

 

547

 

 

XOL 2022-1

Oct. 2021 - Dec. 2022

 

67,094,902

 

18,213,963

 

 

141,992

 

 

141,992

 

 

 

 

507,114

 

502,788

 

 

1,593

 

3,186

 

 

137,802

XOL 2023-1

Jan. 2023 - Dec. 2023

 

39,252,349

 

10,868,626

 

 

36,627

 

 

36,627

 

 

 

 

366,270

 

366,154

 

 

434

 

868

 

 

35,310

Total

 

$

117,662,525

$

32,062,992

 

$

352,371

 

$

287,533

 

$

 

$

1,342,632

$

1,326,490

 

$

2,901

$

5,828

 

$

173,112

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Quota Share Reinsurance (2)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Losses Ceded

 

Ceding Commission

 

Earned Premiums Ceded

 

 

Year

Ceding Percentage

Remaining

Insurance

in Force

Remaining

Risk

in Force

 

Remaining Ceded Insurance in Force

 

Remaining Ceded Risk in Force

 

Quarter-to-Date

Year-to-Date

 

Quarter-to-Date

Year-to-Date

 

Quarter-to-Date

Year-to-Date

 

Reduction in PMIERs Minimum Required

Assets (3)

Sep. 2019 - Dec. 2020

(4)

$

45,488,690

$

12,209,907

 

$

10,259,829

 

$

2,717,800

 

$

(609

)

$

(790

)

 

$

2,264

$

4,645

 

$

3,580

$

7,803

 

$

161,813

Jan. 2022 - Dec. 2022

20%

 

54,504,030

 

14,796,646

 

 

10,900,806

 

 

2,959,329

 

 

(469

)

 

1,255

 

 

 

1,879

 

3,784

 

 

3,101

 

8,445

 

 

218,858

Jan. 2023 - Dec. 2023

17.5%

 

39,137,562

 

10,840,618

 

 

6,849,073

 

 

1,897,108

 

 

1,020

 

 

2,461

 

 

 

1,349

 

2,715

 

 

3,852

 

8,163

 

 

143,367

Jan. 2024 - Dec. 2024

15%

 

20,388,139

 

5,620,923

 

 

3,058,221

 

 

843,138

 

 

159

 

 

159

 

 

 

407

 

508

 

 

1,035

 

1,252

 

 

58,872

Total

 

$

159,518,421

$

43,468,094

 

$

31,067,929

 

$

8,417,375

 

$

101

 

$

3,085

 

 

$

5,899

$

11,652

 

$

11,568

$

25,663

 

$

582,910

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1) Reinsurance provided by unaffiliated special purpose insurers through the issuance of mortgage insurance-linked notes ("ILNs").

(2) Reinsurance provided by panels of reinsurers.

(3) Represents the reduction in Essent Guaranty, Inc.'s Minimum Required Assets based on our interpretation of the PMIERs.

(4) Reinsurance coverage on 40% of eligible single premium policies and 20% of all other eligible policies.

(5) Excludes ($45) and ($71) of benefit in ceded premium on retired ILN's for the three and six months ended June 30, 2024, respectively.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit J

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

U.S. Mortgage Insurance Portfolio Geographic Data

 

 

 

 

 

 

 

 

 

 

 

 

IIF by State

 

June 30, 2024

 

March 31, 2024

 

June 30, 2023

CA

12.7

%

 

12.9

%

 

13.1

%

FL

11.6

 

 

11.3

 

 

10.8

 

TX

10.8

 

 

10.6

 

 

10.5

 

CO

4.1

 

 

4.1

 

 

4.1

 

AZ

3.8

 

 

3.8

 

 

3.7

 

GA

3.6

 

 

3.5

 

 

3.3

 

WA

3.4

 

 

3.5

 

 

3.4

 

NC

3.0

 

 

2.9

 

 

2.8

 

IL

2.7

 

 

2.7

 

 

2.9

 

VA

2.7

 

 

2.7

 

 

2.9

 

All Others

41.6

 

 

42.0

 

 

42.5

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross RIF by State

 

June 30, 2024

 

March 31, 2024

 

June 30, 2023

CA

12.6

%

 

12.8

%

 

13.0

%

FL

11.8

 

 

11.6

 

 

11.1

 

TX

11.1

 

 

10.9

 

 

10.8

 

CO

4.1

 

 

4.1

 

 

4.1

 

AZ

3.8

 

 

3.8

 

 

3.8

 

GA

3.7

 

 

3.6

 

 

3.4

 

WA

3.4

 

 

3.4

 

 

3.4

 

NC

3.0

 

 

2.9

 

 

2.8

 

IL

2.6

 

 

2.7

 

 

2.8

 

VA

2.6

 

 

2.7

 

 

2.8

 

All Others

41.3

 

 

41.5

 

 

42.0

 

Total

100.0

%

 

100.0

%

 

100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit K

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Rollforward of Defaults and Reserve for Losses and LAE

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

 

 

 

Rollforward of Insured Loans in Default

 

 

Three Months Ended

 

 

2024

 

2023

 

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

Beginning default inventory

 

 

13,992

 

 

 

14,819

 

 

 

13,391

 

 

 

12,480

 

 

 

12,773

 

Plus: new defaults (A)

 

 

8,119

 

 

 

8,260

 

 

 

9,007

 

 

 

7,953

 

 

 

6,575

 

Less: cures

 

 

(7,956

)

 

 

(8,951

)

 

 

(7,418

)

 

 

(6,902

)

 

 

(6,761

)

Less: claims paid

 

 

(183

)

 

 

(123

)

 

 

(148

)

 

 

(129

)

 

 

(96

)

Less: rescissions and denials, net

 

 

(18

)

 

 

(13

)

 

 

(13

)

 

 

(11

)

 

 

(11

)

Ending default inventory

 

 

13,954

 

 

 

13,992

 

 

 

14,819

 

 

 

13,391

 

 

 

12,480

 

 

 

 

 

 

 

 

 

 

 

 

(A) New defaults remaining as of June 30, 2024

 

 

5,944

 

 

 

2,466

 

 

 

1,922

 

 

 

1,204

 

 

 

699

 

Cure rate (1)

 

 

27

%

 

 

70

%

 

 

79

%

 

 

85

%

 

 

89

%

 

 

 

 

 

 

 

 

 

 

 

Total amount paid for claims (in thousands)

 

$

5,566

 

 

$

3,605

 

 

$

3,411

 

 

$

2,956

 

 

$

1,890

 

Average amount paid per claim (in thousands)

 

$

30

 

 

$

29

 

 

$

23

 

 

$

23

 

 

$

20

 

Severity

 

 

60

%

 

 

65

%

 

 

54

%

 

 

66

%

 

 

58

%

 

 

 

 

 

 

 

 

 

 

 

Rollforward of Reserve for Losses and LAE

 

 

Three Months Ended

 

 

2024

 

2023

($ in thousands)

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

Reserve for losses and LAE at beginning of period

 

$

253,565

 

 

$

245,402

 

 

$

226,617

 

 

$

216,888

 

 

$

215,957

 

Less: Reinsurance recoverables

 

 

26,570

 

 

 

24,005

 

 

 

20,656

 

 

 

17,958

 

 

 

16,357

 

Net reserve for losses and LAE at beginning of period

 

 

226,995

 

 

 

221,397

 

 

 

205,961

 

 

 

198,930

 

 

 

199,600

 

Add provision for losses and LAE occurring in:

 

 

 

 

 

 

 

 

 

 

Current period

 

$

30,653

 

 

$

39,396

 

 

$

38,922

 

 

$

35,609

 

 

$

31,377

 

Prior years

 

 

(31,880

)

 

 

(30,062

)

 

 

(19,912

)

 

 

(25,533

)

 

 

(30,107

)

Incurred losses and LAE during the period

 

 

(1,227

)

 

 

9,334

 

 

 

19,010

 

 

 

10,076

 

 

 

1,270

 

Deduct payments for losses and LAE occurring in:

 

 

 

 

 

 

 

 

 

 

Current period

 

 

478

 

 

 

1

 

 

 

330

 

 

 

156

 

 

 

31

 

Prior years

 

 

5,205

 

 

 

3,735

 

 

 

3,244

 

 

 

2,889

 

 

 

1,909

 

Loss and LAE payments during the period

 

 

5,683

 

 

 

3,736

 

 

 

3,574

 

 

 

3,045

 

 

 

1,940

 

Net reserve for losses and LAE at end of period

 

 

220,085

 

 

 

226,995

 

 

 

221,397

 

 

 

205,961

 

 

 

198,930

 

Plus: Reinsurance recoverables

 

 

26,022

 

 

 

26,570

 

 

 

24,005

 

 

 

20,656

 

 

 

17,958

 

Reserve for losses and LAE at end of period

 

$

246,107

 

 

$

253,565

 

 

$

245,402

 

 

$

226,617

 

 

$

216,888

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1) The cure rate is calculated by dividing new defaults remaining as of the reporting date by the original number of new defaults reported in the quarterly period and subtracting that percentage from 100%.

 

 

 

 

 

 

Exhibit L

Essent Group Ltd. and Subsidiaries

Supplemental Information

Detail of Reserves by Default Delinquency

U.S. Mortgage Insurance Portfolio

 

 

 

 

 

 

 

 

 

 

June 30, 2024

 

 

Number of

Policies in

Default

Percentage of

Policies in

Default

Amount of Reserves

Percentage of Reserves

Defaulted RIF

Reserves as a Percentage of

Defaulted RIF

($ in thousands)

 

 

 

 

 

 

Missed Payments:

 

 

 

 

 

 

Three payments or less

 

7,024

 

50

%

$

43,396

19

%

$

525,876

8

%

Four to eleven payments

 

4,887

 

35

 

 

93,489

41

 

 

383,685

24

 

Twelve or more payments

 

1,908

 

14

 

 

82,529

37

 

 

135,616

61

 

Pending claims

 

135

 

1

 

 

7,562

3

 

 

8,540

89

 

Total case reserves

 

13,954

 

100

%

 

226,976

100

%

$

1,053,717

22

%

IBNR

 

 

 

 

17,023

 

 

 

LAE

 

 

 

 

2,108

 

 

 

Total reserves for losses and LAE

 

 

 

$

246,107

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

 

$

16.3

 

 

 

Total

 

 

 

$

17.6

 

 

 

 

 

 

 

 

 

 

 

Default Rate

1.71

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2023

 

 

Number of

Policies in

Default

Percentage of

Policies in

Default

Amount of Reserves

Percentage of Reserves

Defaulted RIF

Reserves as a Percentage of

Defaulted RIF

($ in thousands)

 

 

 

 

 

 

Missed Payments:

 

 

 

 

 

 

Three payments or less

 

7,288

 

49

%

$

44,607

20

%

$

527,419

8

%

Four to eleven payments

 

5,421

 

37

 

 

97,424

43

 

 

417,876

23

 

Twelve or more payments

 

1,984

 

13

 

 

78,540

35

 

 

132,257

59

 

Pending claims

 

126

 

1

 

 

5,550

2

 

 

6,302

88

 

Total case reserves

 

14,819

 

100

%

 

226,121

100

%

$

1,083,854

21

%

IBNR

 

 

 

 

16,959

 

 

 

LAE

 

 

 

 

2,322

 

 

 

Total reserves for losses and LAE

 

 

 

$

245,402

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

 

$

15.3

 

 

 

Total

 

 

 

$

16.6

 

 

 

 

 

 

 

 

 

 

 

Default Rate

1.80

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2023

 

 

Number of

Policies in

Default

Percentage of

Policies in

Default

Amount of Reserves

Percentage of Reserves

Defaulted RIF

Reserves as a Percentage of

Defaulted RIF

($ in thousands)

 

 

 

 

 

 

Missed Payments:

 

 

 

 

 

 

Three payments or less

 

5,581

 

45

%

$

33,864

17

%

$

388,012

9

%

Four to eleven payments

 

4,725

 

38

 

 

82,196

41

 

 

348,955

24

 

Twelve or more payments

 

2,045

 

16

 

 

78,236

39

 

 

123,903

63

 

Pending claims

 

129

 

1

 

 

5,680

3

 

 

6,687

85

 

Total case reserves

 

12,480

 

100

%

 

199,976

100

%

$

867,557

23

%

IBNR

 

 

 

 

14,998

 

 

 

LAE

 

 

 

 

1,914

 

 

 

Total reserves for losses and LAE

 

 

 

$

216,888

 

 

 

 

 

 

 

 

 

 

 

Average reserve per default:

 

 

 

 

 

 

Case

 

 

 

$

16.0

 

 

 

Total

 

 

 

$

17.4

 

 

 

 

 

 

 

 

 

 

 

Default Rate

1.52

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit M

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

Investments Available for Sale

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Asset Class

Asset Class

 

June 30, 2024

 

December 31, 2023

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

U.S. Treasury securities

 

$

999,176

 

 

18.3

%

 

$

996,382

 

18.9

%

U.S. agency securities

 

 

 

 

 

 

 

7,195

 

0.1

 

U.S. agency mortgage-backed securities

 

 

757,590

 

 

13.9

 

 

 

821,346

 

15.6

 

Municipal debt securities

 

 

524,396

 

 

9.7

 

 

 

547,258

 

10.5

 

Non-U.S. government securities

 

 

66,031

 

 

1.2

 

 

 

67,447

 

1.3

 

Corporate debt securities

 

 

1,151,976

 

 

21.1

 

 

 

1,297,055

 

24.7

 

Residential and commercial mortgage securities

 

 

498,987

 

 

9.1

 

 

 

517,940

 

9.8

 

Asset-backed securities

 

 

455,453

 

 

8.3

 

 

 

564,995

 

10.7

 

Money market funds

 

 

1,001,374

 

 

18.4

 

 

 

444,121

 

8.4

 

Total investments available for sale

 

$

5,454,983

 

 

100.0

%

 

$

5,263,739

 

100.0

%

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Credit Rating

Rating (1)

 

June 30, 2024

 

December 31, 2023

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

Aaa

 

$

2,409,458

 

 

54.1

%

 

$

2,561,363

 

53.2

%

Aa1

 

 

95,534

 

 

2.1

 

 

 

104,474

 

2.2

 

Aa2

 

 

265,098

 

 

6.0

 

 

 

291,501

 

6.0

 

Aa3

 

 

187,946

 

 

4.1

 

 

 

208,882

 

4.3

 

A1

 

 

352,488

 

 

7.9

 

 

 

377,188

 

7.8

 

A2

 

 

253,728

 

 

5.7

 

 

 

329,423

 

6.8

 

A3

 

 

252,599

 

 

5.7

 

 

 

253,081

 

5.3

 

Baa1

 

 

207,665

 

 

4.7

 

 

 

220,901

 

4.6

 

Baa2

 

 

199,072

 

 

4.5

 

 

 

226,449

 

4.7

 

Baa3

 

 

158,219

 

 

3.6

 

 

 

166,121

 

3.4

 

Below Baa3

 

 

71,802

 

 

1.6

 

 

 

80,235

 

1.7

 

Total (2)

 

$

4,453,609

 

 

100.0

%

 

$

4,819,618

 

100.0

%

 

 

 

 

 

 

 

 

 

(1) Based on ratings issued by Moody's, if available. S&P or Fitch rating utilized if Moody's not available.

 

 

(2) Excludes $1,001,374 and $444,121 of money market funds at June 30, 2024 and December 31, 2023, respectively.

 

 

 

 

 

 

 

 

 

 

 

Investments Available for Sale by Duration and Book Yield

Effective Duration

 

June 30, 2024

 

December 31, 2023

($ in thousands)

 

Fair Value

 

Percent

 

Fair Value

 

Percent

< 1 Year

 

$

2,334,120

 

 

42.8

%

 

$

1,892,074

 

35.9

%

1 to < 2 Years

 

 

310,087

 

 

5.7

 

 

 

371,583

 

7.1

 

2 to < 3 Years

 

 

447,721

 

 

8.1

 

 

 

538,775

 

10.2

 

3 to < 4 Years

 

 

404,998

 

 

7.4

 

 

 

402,668

 

7.6

 

4 to < 5 Years

 

 

384,051

 

 

7.0

 

 

 

376,722

 

7.2

 

5 or more Years

 

 

1,574,006

 

 

29.0

 

 

 

1,681,917

 

32.0

 

Total investments available for sale

 

$

5,454,983

 

 

100.0

%

 

$

5,263,739

 

100.0

%

 

 

 

 

 

 

 

 

 

Pre-tax investment income yield:

 

 

 

 

 

 

 

 

Three months ended

 

 

3.84

%

 

 

 

 

 

 

Six months ended June 30, 2024

 

 

3.76

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Holding company net cash and investments available for sale:

 

 

 

 

($ in thousands)

 

 

 

 

As of June 30, 2024

 

$

808,389

 

 

As of December 31, 2023

 

$

693,507

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exhibit N

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Group Ltd. and Subsidiaries

Supplemental Information

U.S. Mortgage Insurance Company Capital

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2024

 

2023

 

 

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Mortgage Insurance Subsidiaries:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Combined statutory capital (1)

 

$

3,530,462

 

 

$

3,453,553

 

 

$

3,376,117

 

 

$

3,309,522

 

 

$

3,243,086

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Combined net risk in force (2)

 

$

34,812,227

 

 

$

34,463,082

 

 

$

34,549,500

 

 

$

34,203,678

 

 

$

34,019,643

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Risk-to-capital ratios: (3)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Guaranty, Inc.

 

10.2:1

 

 

10.3:1

 

 

10.6:1

 

 

10.7:1

 

 

10.8:1

 

 

Essent Guaranty of PA, Inc.

 

0.3:1

 

 

0.4:1

 

 

0.4:1

 

 

0.5:1

 

 

0.5:1

 

 

Combined (4)

 

9.9:1

 

 

10.0:1

 

 

10.2:1

 

 

10.3:1

 

 

10.5:1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Guaranty, Inc. PMIERs Data (5):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Available Assets

 

$

3,513,609

 

 

$

3,464,119

 

 

$

3,379,936

 

 

$

3,318,179

 

 

$

3,245,481

 

 

Minimum Required Assets

 

 

2,052,135

 

 

 

1,999,928

 

 

 

1,985,545

 

 

 

1,910,659

 

 

 

1,991,741

 

 

PMIERs excess Available Assets

 

$

1,461,474

 

 

$

1,464,191

 

 

$

1,394,391

 

 

$

1,407,520

 

 

$

1,253,740

 

 

PMIERs sufficiency ratio (6)

 

 

171

%

 

 

173

%

 

 

170

%

 

 

174

%

 

 

163

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Essent Reinsurance Ltd.:

 

 

 

 

 

 

 

 

 

 

 

 

 

Stockholder's equity (GAAP basis)

 

$

1,793,777

 

 

$

1,793,005

 

 

$

1,758,665

 

 

$

1,684,122

 

 

$

1,633,763

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net risk in force (2)

 

$

22,770,165

 

 

$

22,271,316

 

 

$

22,043,926

 

 

$

21,739,419

 

 

$

21,327,762

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1) Combined statutory capital equals the sum of statutory capital of Essent Guaranty, Inc. plus Essent Guaranty of PA, Inc., after eliminating the impact of intercompany transactions. Statutory capital is computed based on accounting practices prescribed or permitted by the Pennsylvania Insurance Department and the National Association of Insurance Commissioners Accounting Practices and Procedures Manual.

(2) Net risk in force represents total risk in force, net of reinsurance ceded and net of exposures on policies for which loss reserves have been established.

(3) The risk-to-capital ratio is calculated as the ratio of net risk in force to statutory capital.

(4) The combined risk-to-capital ratio equals the sum of the net risk in force of Essent Guaranty, Inc. and Essent Guaranty of PA, Inc. divided by the combined statutory capital.

(5) Data is based on our interpretation of the PMIERs as of the dates indicated.

(6) PMIERs sufficiency ratio is calculated by dividing Available Assets by Minimum Required Assets.

 

 

 

 

 

 

 

 

 

 

 

Exhibit O

Essent Group Ltd. and Subsidiaries

 

Supplemental Information

 

Ratios and Reconciliation of Non-GAAP Financial Measures

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2024

 

2023

 

 

 

June 30

 

March 31

 

December 31

 

September 30

 

June 30

 

 

Loss Ratio (1)

 

(0.1

)%

 

 

4.0

%

 

 

7.9

%

 

 

4.4

%

 

 

0.6

%

 

 

Expense Ratio (2)

 

26.1

%

 

 

27.1

%

 

 

27.0

%

 

 

27.3

%

 

 

19.8

%

 

 

Combined Ratio

 

26.0

%

 

 

31.1

%

 

 

34.9

%

 

 

31.7

%

 

 

20.4

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Underwriting Margin (3)

 

74.0

%

 

 

68.9

%

 

 

65.1

%

 

 

68.3

%

 

 

79.6

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

We believe that loss, expense and combined ratios are important measures of our financial performance. As a result of the July 1, 2023 acquisition of Agents National Title and Boston National Title (collectively "Title"), the consolidated loss, expense and combined ratios ("Consolidated Ratios") for the three and six months ended June 30, 2024 lack comparability with periods prior to the acquisition. In order to provide investors with more comparative information to prior periods, Essent has prepared the table below to reconcile the Consolidated Ratios to ratios excluding Title, as shown below. Ratios excluding Title are financial measures that are not calculated under standards or rules that comprise accounting principles generally accepted in the United States (GAAP) and are referred to as non-GAAP measures. Ratios excluding Title are measures used to monitor our results and should not be viewed as a substitute for those measures determined in accordance with GAAP.

 

The following table sets forth the reconciliation of the loss, expense and combined ratios excluding Title to the most comparable GAAP amount for the three and six months ended June 30, 2024 in accordance with Regulation G:

 

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended

June 30, 2024

 

Six Months Ended

June 30, 2024

 

Consolidated

 

Title

 

Excluding Title

 

Consolidated

 

Title

 

Excluding Title

($ in thousands)

 

 

 

 

 

 

 

 

 

 

 

Revenues:

 

 

 

 

 

 

 

 

 

 

 

Net premiums earned

$

251,891

 

 

$

16,633

 

 

$

235,258

 

 

$

497,481

 

 

$

31,917

 

 

$

465,564

 

Net investment income

 

56,086

 

 

 

804

 

 

 

55,282

 

 

 

108,171

 

 

 

1,555

 

 

 

106,616

 

Realized investment losses, net

 

(1,164

)

 

 

 

 

 

(1,164

)

 

 

(2,304

)

 

 

 

 

 

(2,304

)

(Loss) income from other invested assets

 

(419

)

 

 

 

 

 

(419

)

 

 

(2,334

)

 

 

 

 

 

(2,334

)

Settlement services (4)

 

1,412

 

 

 

1,412

 

 

 

 

 

 

2,837

 

 

 

2,837

 

 

 

 

Other income

 

5,136

 

 

 

474

 

 

 

4,662

 

 

 

7,448

 

 

 

881

 

 

 

6,567

 

Total revenues

 

312,942

 

 

 

19,323

 

 

 

293,619

 

 

 

611,299

 

 

 

37,190

 

 

 

574,109

 

 

 

 

 

 

 

 

 

 

 

 

 

Losses and expenses:

 

 

 

 

 

 

 

 

 

 

 

Provision (benefit) for losses and LAE

 

(334

)

 

 

892

 

 

 

(1,226

)

 

 

9,579

 

 

 

1,467

 

 

 

8,112

 

Other underwriting and operating expenses (5)

 

55,987

 

 

 

12,909

 

 

 

43,078

 

 

 

113,336

 

 

 

24,719

 

 

 

88,617

 

Premiums retained by agents

 

10,215

 

 

 

10,215

 

 

 

 

 

 

19,706

 

 

 

19,706

 

 

 

 

Interest expense

 

7,849

 

 

 

 

 

 

7,849

 

 

 

15,711

 

 

 

 

 

 

15,711

 

Total losses and expenses

 

73,717

 

 

 

24,016

 

 

 

49,701

 

 

 

158,332

 

 

 

45,892

 

 

 

112,440

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss ratio (1)

 

(0.1

%)

 

 

4.9

%

 

 

(0.5

%)

 

 

1.9

%

 

 

4.2

%

 

 

1.7

%

Expense ratio (2)

 

26.1

%

 

 

128.1

%

 

 

18.3

%

 

 

26.6

%

 

 

127.8

%

 

 

19.0

%

Combined ratio

 

26.0

%

 

 

133.0

%

 

 

17.8

%

 

 

28.5

%

 

 

132.0

%

 

 

20.7

%

 

 

 

 

 

 

 

 

 

 

 

 

Underwriting Margin (3)

 

74.0

%

 

 

(33.0

%)

 

 

82.2

%

 

 

71.5

%

 

 

(32.0

%)

 

 

79.3

%

 

 

 

 

 

 

 

 

 

 

 

 

(1) Loss ratio is calculated by dividing the provision for losses and LAE by the sum of net premiums earned and settlement services revenue, if applicable.

 

(2) Expense ratio is calculated by dividing the sum of other underwriting and operating expenses and premiums retained by agents by the sum of net premiums earned and settlement services revenue, if applicable.

 

(3) Calculated as the inverse of the combined ratio.

 

(4) Settlement services revenue is included in "Other income" within Exhibit A and Exhibit C.

 

(5) Title expenses reflect only direct expenses of Title operations and do not include corporate or centralized support expense allocations.

 

 

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